Bubbles and bursts of the Japanese real estate and stock markets in the last two decades were the boom and bust at the maximum scale of the late twentieth century. Why did the burst occur? In this paper we study statistical properties of ensemble of stock prices and land prices in Japan,...

The collapse of some Asian financial markets in the wake of the floatation of the Thai bath in early July 1997 is the most recent of several episodes in the 1990's rekindling interest in both academic and policy circles in the potential causes and symptoms of financial crises. A key feature of...

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is an assessment of the performance of long memory time series models in comparison to their short-memory counterparts. Since long memory models should...

The 1990‰fs has been punctuated by a series of severe financial and currency crises: the Exchange Rate Mechanism (ERM) attacks of 1992; the Mexican peso collapse of 1994; the East Asian crisis of 1997; the Russian collapse of 1998; and the Brazilian devaluation of 1999. One striking characteristic of these...

In recent years a large number of models of financial markets based on interacting heterogeneous agents have been developed. These models generally allow the size of the different groups of agents to vary according to the evolution of the financial market. Adaptive belief system proposed by...